"It's been a four-year, overnight success," Brown explained of her rise to stardom. "I started [acting] when I was around eight. It's very overwhelming in the best possible way. It's all very new, and it's fantastic."

To prepare for her role as Eleven, Brown told Colbert her "research" was mostly asking her parents a lot of questions.

"It wasn't who, it was [more] like what is that, you know? Like I didn't know what a record player was," she admitted, also telling Colbert her parents bought her one for Christmas. "I love Adele, I love Ed Sheeran and Amy Winehouse, Beyoncé. I got the vinyl set and I was like, 'This is my life now.'"

Brown, who admitted she "couldn't say Demogorgon at first," also revealed that she, too, sometimes gets spooked by the show -- and a lot of other "things in general."

"Oh, it does [scare me], I'm frightened about everything," she explained. "Sharks, the dark, bungalows -- bungalows really freak me out. It's a house with no stairs. [What's scary is] you have no place to escape. You're on one level."

During another point of the show, Brown reprised her role as Eleven, with Colbert portraying Dr. Martin Brenner. "Alright Eleven, it's time to do what we discussed," the 52-year-old talk show host said in the clip. "There's no need to be afraid, just stay focused."

While in the Big Apple, Brown also got to attend New York Fashion Week for the first time, reuniting with her Stranger Things co-star, Winona Ryder, front row at the Coach 1941 Women's Spring 2017 runway show. Brown wore a blush pink bomber jacket over a printed dress, while Ryder sported a black Coach sweater emblazoned with a green and brown T. rex.

Photo: Getty Images

"Reunited at last," Brown later wrote on Instagram, using the hashtags, "#strangerthings" #netflix" "#joyce" and "#eleven."

Last month, Netflix announced Stranger Things is officially receiving a second season. Ahead of the exciting news, ET caught up with Brown and Ryder's co-star, Joe Keery, who shared his hopes for his character, Steve Harrington, and why he wants "Justice for Barb."